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Marvin Appel, Ph.D., M.D., Signalert Tactical ETF Trading Strategies; Dr. David Esch, New Frontier Advisors, When Optimization Fails

October 24, 2017 @ 5:30 pm - 8:15 pm

TUESDAY October 24 NYC –

October 24 @ 5:30 pm – 8:00 pm

| $35 – $60

QWAFAFEW NYC EVENT – http://newyork.qwafafew.org/event/oct24/

Venue:  Bourbon Street Bar and Grill, 346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036

http://www.bourbonny.com/contact  accessible 42nd Street, Port Authority (A, C, E lines)

Tuesday, October 24



Marvin Appel, Ph.D., M.D., President, Signalert Asset Management LLC, & Dr. David Esch, Managing Director of Research, New Frontier Advisors


5:30- 6:10 Registration, Networking, and Refreshments

6:10 – 6:15 Chapter Business – Mike Carty, Chapter President

6:15 – 6:55  “Tactical Trading Strategies Using Exchange-Traded Funds” – Marvin Appel, MD, PhD, President, Signalert Asset Management

6:55 – 7:10     Refreshment and Networking Break

7:10 – 7:55  Dr. David Esch, Managing Director of Research, New Frontier Advisors

7:10 – 7:55   “When Optimization Fails”, Dr. David Esch, Managing Director of Research, New Frontier Advisors

based on a work by David N. Esch, Ph.D. and Richard O. Michaud, Ph.D., New Frontier Advisors, LLC

Markowitz (1952, 1959) mean-variance (MV) optimization is the theoretical framework of choice for defining portfolio optimality. However, Markowitz-optimal portfolios are known to be unstable and ambiguous in practice (Michaud, 1989). Michaud (1998, 2008a, b) extends Markowitz’ methods to address uncertainty in portfolio inputs, resulting in stable and often investment intuitive portfolios without the need of ad hoc constraints.

Simulation experiments, including Markowitz-Usmen (MU) (2003), report that Michaud resampling improves out-of-sample investment performance on average over Markowitz optimized portfolios. However, some reports have claimed ambiguous or even negative improvements over Markowitz. We repeat the MU framework with more generality and find some mixed results. An examination of negative results shows that their associated simulated “referee truths” are mostly unlikely to be accepted as useful for practical application by an experienced asset manager. For example, in a long-only asset allocation, few managers would want to use assets with expected negative return except under extraordinary circumstances.

The notion of “investment irrelevant” or “perverse” simulated referee truths may explain many claims of negative Michaud optimization results. Simulation methods are not inherently informed of realistic investment demand characteristics and must be managed. In particular, a simulation test where Markowitz is superior to Michaud out-of-sample may be useful in practice to highlight investment “perverseness” in simulated risk-return estimates.


Becker, Franziska, Marc Gürtler, and Martin Thomas Hibbeln (2015). “Markowitz versus Michaud: Portfolio optimization strategies reconsidered.” European Journal of Finance 21(4): 269-291.

Fletcher, Jonathan, and Joe Hillier (2001). “An examination of resampled portfolio efficiency.” Financial Analysts Journal 57(5): 66-74.

Harvey, Campbell R., John C. Liechty, and Merrill W. Liechty (2008). “Bayes vs. resampling: a rematch.” Journal of Investment Management 6(1).

Markowitz, H. and N. M. H. Usmen (2003). “Resampled frontiers versus diffuse Bayes: an experiment.” Journal of Investment Management 1(4): 1-17.

Michaud, R. O (1998, 2008a). “Efficient Asset Management: a practical guide to stock portfolio management and asset allocation.” 1st ed. HBS Press, Boston, MA; 2nd ed. Oxford University Press.

Michaud, Richard O. and Michaud, Robert (2008) “Estimation Error and Portfolio Optimization: A Resampling Solution.” Journal of Investment Management 6(1).

Michaud, Richard O. and Michaud, Robert (2008). “Discussion on Article by Campbell R. Harvey, John C. Liechty and Merill W. Liechty, Bayes vs. Resampling: A Rematch.” Journal of Investment Management, 6(1).

Scherer, Bernd (2002). “Portfolio resampling: Review and critique.” Financial Analysts Journal 58(6): 98-109.

8:15 Adjournment

Venue:  Bourbon Street Bar and Grill, 346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036

http://www.bourbonny.com/contact    accessible 42nd Street, Port Authority (A, C, E lines)

RSVP to nyc@qwafafew.org In text body, please provide the name, phone number, email, and membership/affiliation status for each attendee.
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or bring Check or Cash to the door on the night of the event after you RSVP.
$35 for paid-up QWAFAFEW members (any chapter);
$40 for CQA members, SQA members, CQFs, CAIAs, CTHFAs, and sustaining (paid) PRMIA members, full-time students, those between positions, FWA members, IAFE, MTA members and members of any CFA Society;
$50 for members of PRMIA (free members), GARP, and/or members of any Quant-affiliated Linked-In group;
$60 for all other RSVPs;
Unless paid through PayPal, $10 late-fee applies to those not RSVP’d by Noon of the day of the event.

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12-month membership dues of $120 available at the door (Use Paypal Link: https://qwafafew.wordpress.com/purchase-qwafafew-nyc-chapter-membership/  or bring Check or Cash to the door on the night of the event after you RSVP), and attend this meeting for free.
Student membership available for $60 (first meeting is free) or Transitional membership available for $80 (1st meeting free) Paypal Link:      https://qwafafew.wordpress.com/qwafafew-paypal-buttons-regional-meetings/


      Marvin Appel, Ph.D., M.D., President, Signalert Asset Management LLC
Marvin Appel originally trained as an anesthesiologist at Harvard Medical School and Johns Hopkins Hospital.  He concurrently earned a PhD in Biomedical Engineering from Harvard University.  However, in 1996 he changed careers and joined his father in the field of investment management where he has been able to put his engineering and computer training to work in analyzing the stock market.  He is now president of Signalert Asset Management in Great Neck, NY, which manages $220 million in client assets in mutual funds, exchange-traded funds and individual stocks and bonds using active asset allocation strategies.

Dr. Appel is the editor of Systems and Forecasts, a highly regarded newsletter on technical analysis that his father, Gerald Appel, started in 1973.  His books include “Higher Returns from Safe Investments: Using Bonds, Stocks and Options to Generate Lifetime Income” (Prentice-Hall, 2010) and “Investing with Exchange-Traded Funds Made Easy”.  Dr. Appel and his father have also written, “Beating the Market, Three Months at a Time”, published by Prentice-Hall and released in January, 2008.

     Dr. David N. Esch, Managing Director of Research, New Frontier Advisors
Dr. David N. Esch is currently Managing Director of Research at New Frontier Advisors, having joined the firm in 2008. He completed his Ph.D. in Statistics at Harvard University in 2004. His specialties include mathematical statistics, numerical analysis and computation, Bayesian statistics, and econometrics. He is author of the article “Non Normality Facts and Fallacies,” (Journal Of Investment Management 1st Quarter 2010), selected as one of the best JOIM papers of 2010, and co-author of many other peer-reviewed journal articles. His educational background also includes a Bachelor of Arts degree from Harvard College and a Masters degree in Mathematics and Statistics from Boston University.



October 24, 2017
5:30 pm - 8:15 pm


Mike Carty


Bourbon Street Bar and Grill
346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036
New York, 10036 United States
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(212) 245-2030